Pipe gunzip and mysql to gunzip a dump and import it

zcat foo.sql.gz | mysql -uroot -ppassword foo

This will also leave foo.sql.gz as it is.

For those on Max OSX there is a bug with zcat so you'll need to use gzcat instead.

gzcat foo.sql.gz | mysql -uroot -ppassword foo

All other answers are recommending writing the password in the command. This is a very bad practice and poses security risks. Please DON'T DO that.

You can leave the password empty in the command, than it will ask you to enter the password interactively. This way the password is not saved in the bash history.

gunzip < dump.sql.gz | mysql -u username -p databasename